A BI-OBJECTIVE PORTFOLIO REBALANCING MODEL FOR INDEX TRAKING PROBLEM UNDER TRANSACTION COSTS AND SOLVING IT USING META-HEURISTIC ALGORITHMS

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NAJAFI A.A.; FAZELI SABZEVAR E.

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2015 | Volume:7 | Issue:24 Page(s): 79-95

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Title

A BI-OBJECTIVE PORTFOLIO REBALANCING MODEL FOR INDEX TRAKING PROBLEM UNDER TRANSACTION COSTS AND SOLVING IT USING META-HEURISTIC ALGORITHMS

Author(s)

NAJAFI A.A. | FAZELI SABZEVAR E. | Issue Writer Certificate

Keywords

INDEX TRACKING PORTFOLIOS REBALANCINGQ3

PORTFOLIO OPTIMIZATIONQ3

INDEX TRACKINGQ3

PASSIVE MANAGEMENTQ3

INDEX FUNDQ3

Abstract

Continuous rebalancing and optimization of the portfolio in a way that always leads to tracking the index accurately is a complex issue. Moreover, considering the transactional costs are inevitable. This paper proposes a model for optimization of the INDEX TRACKING problem and a solution based on Genetic Algorithm. The proposed model is a bi-objective model that is aimed to minimize the tracking error and transactional costs. Due to complexity of the model, the Non-dominated Sorting Genetic Algorithm and the Non-Dominated ranked Genetic Algorithm are used and evaluated to solve the model. The basic metals Index of Tehran Stock Exchange at the year of 2012 is used in this research as the desired index for tracking and rebalancing.

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APA: Copy

NAJAFI, A.A., & FAZELI SABZEVAR, E.. (2015). A BI-OBJECTIVE PORTFOLIO REBALANCING MODEL FOR INDEX TRAKING PROBLEM UNDER TRANSACTION COSTS AND SOLVING IT USING META-HEURISTIC ALGORITHMS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 7(24), 79-95. SID. https://sid.ir/paper/200331/en

Vancouver: Copy

NAJAFI A.A., FAZELI SABZEVAR E.. A BI-OBJECTIVE PORTFOLIO REBALANCING MODEL FOR INDEX TRAKING PROBLEM UNDER TRANSACTION COSTS AND SOLVING IT USING META-HEURISTIC ALGORITHMS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2015;7(24):79-95. Available from: https://sid.ir/paper/200331/en

IEEE: Copy

A.A. NAJAFI, and E. FAZELI SABZEVAR, “A BI-OBJECTIVE PORTFOLIO REBALANCING MODEL FOR INDEX TRAKING PROBLEM UNDER TRANSACTION COSTS AND SOLVING IT USING META-HEURISTIC ALGORITHMS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 7, no. 24, pp. 79–95, 2015, [Online]. Available: https://sid.ir/paper/200331/en

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